Aggregate Risks and Aggregate Allocations

资产市场对未来宏观经济发展发出了什么信号？宏观经济风险是如何产生和分配的？哪些摩擦可能阻碍最佳解决方案？应对金融市场动荡的适当政策是什么？拟议的研究旨在帮助回答这些问题，特别是进行三个项目。第一个项目研究宏观经济冲击与金融市场之间的相互关系，通过预测误差方差的解释能力来识别冲击。第二个项目在动态随机一般均衡模型的帮助下研究宏观经济风险的分配和一些摩擦，能够提供适当的风险溢价。第三个项目试图将2008年金融危机理解为系统性银行挤兑，在这种情况下，可交易的银行资产变得缺乏流动性。它还探讨了在金融危机中实施财政刺激的理由。拟议活动的智力价值拟议的研究在许多方面扩展了现有的文献。第一个项目提供了一种新的方法，根据它们对解释未来方差的贡献来识别冲击，这种方法应该更普遍。它应用这种方法来研究关键冲击移动资产市场和宏观经济总量之间的相互作用，从而加深我们对这些关系的经验理解。第二个项目扩展和/或简化了文献，寻求资产市场和宏观经济配置的联合模型。关于偏好和技术的通用公式对弹性提供了限制，这应该证明是普遍有用的。明确关键摩擦的作用和特征。DSGE模型适用于研究货币政策，同时提供关键的资产市场观察，扩展了现有文献。第三个项目的动机是最近发生的事件。尽管这让人想起经典的银行挤兑，但一个关键的区别在于，不稳定金融机构的资产至少在原则上是可以出售的。提出的研究有助于构建系统性银行挤兑模型的文献，填补了我们理解中的这一空白。这一建议进一步促进了财政政策在金融危机期间的特殊作用的文献。拟议活动的更广泛影响资产市场和金融中介机构与宏观经济行为之间的相互关系，以及对金融部门动荡的适当政策反应，已成为一个相当普遍感兴趣的话题。本研究希望能对相关问题有更深入的了解，对相关政策机构有所帮助。

What do asset markets signal about future macroeconomic developments? How are macroeconomic risks generated and allocated and what frictions may prevent a first-best solution? What are the appropriate policy responses to upheavals on financial markets? The proposed research seeks to contribute to answering these questions, pursuing three projects in particular. The first project investigates the interrelationship between macroeconomic shocks and financial markets empirically, identifying shocks by their explanatory power for forecast error variances. The second project investigates the allocation of macroeconomic risks and several frictions with the help of dynamic stochastic general equilibrium models, capable of delivering appropriate risk premia. The third project seeks to understand the 2008 financial crisis as a systemic bank run, in which tradeable bank assets become illiquid. It also examines the case for a fiscal stimulus in a financial crisis.Intellectual Merit of Proposed ActivityThe proposed research extends the existing literature in a number of dimensions. The first project provides a new method for identifying shocks based on their contribution to explaining future variance, which should be useful more generally. It applies this methodology to examine the interaction between key shocks moving asset markets and macroeconomic aggregates, thereby deepening our empirical understanding of these relationships. The second project extends and/or streamlines the literature, which seeks a joint modelfor asset markets and macroeconomic allocations. Generic formulations for preferences and technologies provide restrictions on elasticities which should prove generally useful. The role of key frictions and features shall be clarified. A DSGE model suitable for studying monetary policy, while delivering key asset market observations, extends the existing literature. The third project is motivated by recent events. While reminiscent of a classic bank run, a key difference is that the assets of shaky financial institutions are marketable at least in principle. The proposed research contributes to the literature of constructing a model of a systemic bank run, filling this gap in our understanding. The proposal furthermore contributes to the literature of the special role of fiscal policies during a financial crisis.Broader Impact of Proposed ActivityThe interrelationship between asset markets and financial intermediaries on the one side and macroeconomic behavior on the other as well as appropriate policy responses to disturbances in the financial sector have become a topic of considerable general interest. This research hopes to contribute to a deeper understanding of the issues involved, which may be of help for the relevant policy institutions.